abrdn Physical Gold Shares ETF GAS-GARCH Student T Volatility Analysis
Volatility prediction for Tuesday, October 20th, 2026
1 Day
20.62%
decreased by 0.54%
1 Week
20.54%
decreased by 0.62%
1 Month
20.26%
decreased by 0.90%
Analysis last updated: Monday, October 19, 2026 at 09:54 PM UTC
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News Impact Curve
How returns affect tomorrow's volatilityVolatility Forecast
How volatility evolves over timeParameter Estimates
Sep 14, 2009 to Oct 16, 2026Model Insight
Volatility shocks decay with a half-life of 57 trading days, meaning a shock loses half its impact after approximately 57 days. Returns follow a Student-t distribution with v = 5.28 degrees of freedom, capturing fatter tails than a normal distribution.
𝑓
GAS-GARCH-T Model
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Shock decay: Shocks decay with a 57-day half-lifev = 5.28 · fat tails
| Param | Value | t-stat |
|---|---|---|
| ωconst | 1.1670 | 0.90 |
| αARCH | 0.0518 | 5.46*** |
| βGARCH | 0.9879 | 67.21*** |
| νDF | 5.2789 | 1.07 |
0.988
Persistence57d
Half-life𝑓
GAS-GARCH-T Model
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| Parameter | Value | t-statistic |
|---|---|---|
ω const Unconditional variance weight | 1.1670 | 0.90 |
α ARCH Response to squared shocks | 0.0518 | 5.46*** |
β GARCH Volatility persistence | 0.9879 | 67.21*** |
ν DF Student-t tail thickness | 5.2789 | 1.07 |
Persistence:
0.988
Half-life:
57 days
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